Financial Applications on Fractional Lévy Stochastic Processes
In this present work, we perform a numerical analysis of the value of the European style options as well as a sensitivity analysis for the option price with respect to some parameters of the model when the underlying price process is driven by a fractional Lévy process. The option price is given by...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-05-01
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| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/6/5/278 |